Change point testing for the drift parameters of a periodic mean reversion process
Statistical Inference for Stochastic Processes(2014)
摘要
In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein–Uhlenbeck process which is defined as the solution of dX_t=(L(t)-α X_t) dt + σ dB_t and which is observed in continuous time. We derive an explicit representation of the generalized likelihood ratio test statistic assuming that the mean reversion function L(t) is a finite linear combination of known basis functions. In the case of a periodic mean reversion function, we determine the asymptotic distribution of the test statistic under the null hypothesis.
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关键词
generalized likelihood ratio test
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